Vanguard 500 Index Fund (VFINX)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (89.5%) in the period of the last 5 years, the total return of 89% of Vanguard 500 Index Fund is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 86.5%, which is lower, thus worse than the value of 86.8% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual return (CAGR) over 5 years of Vanguard 500 Index Fund is 13.6%, which is lower, thus worse compared to the benchmark SPY (13.7%) in the same period.
• Looking at annual performance (CAGR) in of 23.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (23.3%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The historical 30 days volatility over 5 years of Vanguard 500 Index Fund is 17%, which is lower, thus better compared to the benchmark SPY (17.2%) in the same period.
• Compared with SPY (15.3%) in the period of the last 3 years, the historical 30 days volatility of 15% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 11.7% of Vanguard 500 Index Fund is lower, thus better.
• During the last 3 years, the downside deviation is 10.1%, which is lower, thus better than the value of 10.2% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the risk / return profile (Sharpe) of 0.66 in the last 5 years of Vanguard 500 Index Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.65)
• Compared with SPY (1.36) in the period of the last 3 years, the Sharpe Ratio of 1.38 is higher, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (0.95) in the period of the last 5 years, the excess return divided by the downside deviation of 0.95 of Vanguard 500 Index Fund is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 2.06, which is higher, thus better than the value of 2.04 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Index over 5 years of Vanguard 500 Index Fund is 8.5 , which is larger, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (3.23 ) in the period of the last 3 years, the Downside risk index of 3.23 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -24.6 days of Vanguard 500 Index Fund is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -18.8 days, which is greater, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of Vanguard 500 Index Fund is 488 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 87 days, which is greater, thus worse than the value of 87 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average time in days below previous high water mark over 5 years of Vanguard 500 Index Fund is 119 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (17 days) in the period of the last 3 years, the average time in days below previous high water mark of 17 days is larger, thus worse.